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Pré-Publication, Document De Travail Année : 2020

Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities

Résumé

Europe has been the first continent to create a large-scale carbon market to reduce the level of carbon emissions and to create a green bond market to finance the transition to low-carbon economies concomitantly. In this chapter, we study the respective roles of these instruments, their price trajectories, their interaction and their potential complementarities over a six-year period (2014-2019). We enrich the literature on environmental markets in several respects. First, significant short-run and long-run persistence of shocks to the conditional correlation between the European carbon and the European Green bond markets are reported. Second, we detect bi-directional shock transmission effects between those markets but no significant spillover effects. Taken together, these results suggest that a green bond issued in Europe may be used to hedge against the carbon price risk.
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Dates et versions

hal-02981422 , version 1 (09-11-2020)

Identifiants

  • HAL Id : hal-02981422 , version 1

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Yves Rannou, Pascal Barneto, Mohamed Amine Boutabba. Green Bond market vs. Carbon market in Europe : Two different trajectories but some complementarities. In press. ⟨hal-02981422⟩
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